Non-linear versus non-gaussian volatility models in application to different financial markets
We used neural-network based modelling to generalize the linear econometric return models and compare their out-of-sample predictive ability in terms of different performance measures under three density specifications. As error measures we used the likelihood values on the test sets as well as stan...
| Main Authors: | , , |
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| Format: | Others |
| Language: | en |
| Published: |
SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
2003
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/1598/1/document.pdf |